03192ntm a22005057i 4500 000714368 CZ-PrVSE 20240615111821.0 m d cr n|||||||||| 240615s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Romenskii, Bogdan ISIS:162616 dis Identifikace zdrojů rizik pomocí analýzy hlavních komponent eng Identifying Risk Sources with Principal Component Analysis / Bogdan Romenskii 2024 ?? stran : digital, PDF soubor Vedoucí práce: Tomáš Löster Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 Risk is an important characteristic that plays a huge role in capital markets decision making. Thus, correctly determining and specifying the risk sources on a given market may shape investors' decisions. This thesis aims to identify and interpret the sources of financial risk on the German equity market. The goal is achieved using principal component analysis as a tool for building the portfolios that allocate their budgets to distinct uncorrelated risk sources. Throughout the research, correlation matrix was compared with the covariance matrix as an underlying foundation for PCA, effectively examining if standardising the returns is an important step. It was also revealed that the first five principal components have different interpretations, indicating the underlying equity characteristics that may not be obvious on a first sight, effectively revealing the biggest risk sources on the German equity market. The market component was extracted that accounted for over 30% of the overall variance, representing a big portion of systematic risk. The findings of the study also suggest that normalising the returns might be a beneficial approach. Způsob přístupu: Internet datové analýzy a modelování [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas Financial risk Equity markets Principal component analysis Löster, Tomáš, 1980- mzk2009512833 ths Danko, Jakub ISIS:135501 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/86345/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/86345 Hlavní práce https://insis.vse.cz/zp/86345/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/86345/posudek/oponent/82397 Oponentura https://insis.vse.cz/zp/86345/priloha/28430 Přiloha k práci https://insis.vse.cz/zp/86345/podrobnosti dc:identifier NEPOSILAT VSKP vse86345 240611 86345